Your Current Location : Correlation : Country Correlation |
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Country Correlation Matrix |
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The following table shows return correlations between various Country Indices over the past 3 Months. |
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C1 |
C2 |
C3 |
C4 |
C5 |
C6 |
C7 |
C8 |
C9 |
C10 |
C11 |
C12 |
C13 |
C14 |
C15 |
C16 |
C17 |
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Return |
SD |
BOVESPA (Brazil) |
C1 |
1.00 |
0.14 |
0.11 |
-0.10 |
0.01 |
-0.02 |
0.02 |
-0.16 |
0.04 |
0.02 |
0.07 |
-0.06 |
-0.02 |
0.18 |
0.02 |
0.05 |
0.11 |
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-3.87 |
703.70 |
CAC (France) |
C2 |
0.14 |
1.00 |
0.75 |
0.28 |
0.65 |
0.19 |
0.17 |
0.16 |
0.21 |
0.29 |
-0.00 |
-0.11 |
0.29 |
0.13 |
0.30 |
0.13 |
0.19 |
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7.78 |
11.92 |
DAX (Germany) |
C3 |
0.11 |
0.75 |
1.00 |
0.35 |
0.62 |
0.32 |
0.14 |
0.08 |
0.34 |
0.30 |
0.08 |
-0.07 |
0.45 |
0.17 |
0.32 |
0.20 |
0.06 |
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7.12 |
10.41 |
DJIA (USA) |
C4 |
-0.10 |
0.28 |
0.35 |
1.00 |
0.17 |
0.16 |
0.28 |
0.15 |
0.66 |
0.13 |
-0.11 |
-0.10 |
0.86 |
0.07 |
0.13 |
0.06 |
-0.13 |
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3.08 |
10.48 |
FTSE 100 (UK) |
C5 |
0.01 |
0.65 |
0.62 |
0.17 |
1.00 |
0.37 |
0.19 |
0.23 |
0.19 |
0.38 |
-0.02 |
-0.06 |
0.20 |
0.23 |
0.40 |
0.11 |
0.28 |
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1.17 |
10.69 |
HANGSENG (HONGKONG) |
C6 |
-0.02 |
0.19 |
0.32 |
0.16 |
0.37 |
1.00 |
0.18 |
0.25 |
0.11 |
0.26 |
-0.05 |
-0.16 |
0.17 |
0.06 |
0.28 |
0.53 |
0.08 |
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1.42 |
29.35 |
JAKARTA (Indonesia) |
C7 |
0.02 |
0.17 |
0.14 |
0.28 |
0.19 |
0.18 |
1.00 |
0.16 |
-0.03 |
-0.02 |
-0.12 |
0.05 |
0.08 |
0.17 |
-0.01 |
-0.11 |
0.02 |
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1.88 |
11.15 |
KOSPI (S Korea) |
C8 |
-0.16 |
0.16 |
0.08 |
0.15 |
0.23 |
0.25 |
0.16 |
1.00 |
0.10 |
0.20 |
0.22 |
0.19 |
0.14 |
0.52 |
0.21 |
-0.03 |
0.26 |
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4.56 |
19.13 |
NASDAQ (USA) |
C9 |
0.04 |
0.21 |
0.34 |
0.66 |
0.19 |
0.11 |
-0.03 |
0.10 |
1.00 |
0.15 |
-0.09 |
-0.02 |
0.84 |
0.08 |
0.16 |
0.06 |
-0.08 |
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6.46 |
19.98 |
NIFTY (India) |
C10 |
0.02 |
0.29 |
0.30 |
0.13 |
0.38 |
0.26 |
-0.02 |
0.20 |
0.15 |
1.00 |
0.21 |
0.12 |
0.18 |
0.26 |
0.99 |
0.16 |
0.13 |
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2.78 |
14.46 |
NIKEEI (Japan) |
C11 |
0.07 |
-0.00 |
0.08 |
-0.11 |
-0.02 |
-0.05 |
-0.12 |
0.22 |
-0.09 |
0.21 |
1.00 |
0.20 |
-0.05 |
0.40 |
0.22 |
-0.03 |
0.10 |
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19.63 |
19.54 |
RTSI (Russia) |
C12 |
-0.06 |
-0.11 |
-0.07 |
-0.10 |
-0.06 |
-0.16 |
0.05 |
0.19 |
-0.02 |
0.12 |
0.20 |
1.00 |
-0.09 |
0.23 |
0.11 |
-0.21 |
-0.08 |
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4.21 |
17.73 |
S&P 500 (USA) |
C13 |
-0.02 |
0.29 |
0.45 |
0.86 |
0.20 |
0.17 |
0.08 |
0.14 |
0.84 |
0.18 |
-0.05 |
-0.09 |
1.00 |
0.03 |
0.19 |
0.10 |
-0.13 |
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7.31 |
14.27 |
S&P ASX 200 (Australia) |
C14 |
0.18 |
0.13 |
0.17 |
0.07 |
0.23 |
0.06 |
0.17 |
0.52 |
0.08 |
0.26 |
0.40 |
0.23 |
0.03 |
1.00 |
0.26 |
-0.08 |
0.17 |
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2.49 |
12.31 |
SENSEX (India) |
C15 |
0.02 |
0.30 |
0.32 |
0.13 |
0.40 |
0.28 |
-0.01 |
0.21 |
0.16 |
0.99 |
0.22 |
0.11 |
0.19 |
0.26 |
1.00 |
0.17 |
0.12 |
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1.85 |
14.58 |
SHANGHAI (China) |
C16 |
0.05 |
0.13 |
0.20 |
0.06 |
0.11 |
0.53 |
-0.11 |
-0.03 |
0.06 |
0.16 |
-0.03 |
-0.21 |
0.10 |
-0.08 |
0.17 |
1.00 |
0.09 |
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5.20 |
22.99 |
STRAIT TIMES (Singapore) |
C17 |
0.11 |
0.19 |
0.06 |
-0.13 |
0.28 |
0.08 |
0.02 |
0.26 |
-0.08 |
0.13 |
0.10 |
-0.08 |
-0.13 |
0.17 |
0.12 |
0.09 |
1.00 |
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1.80 |
13.63 |
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Note :
- Returns upto 1 year are absolute and over 1 year are compounded and annualised.
- Standard Deviations are calculated on daily return basis for the given period and are annualised.
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Intra-Portfolio Diversification
Diversification can be quantified as the intra-portfolio correlation. This indicate Percent of diversifiable risk eliminated. |
39.87% |
Portfolio Return |
4.40% |
Start Date |
19 Dec 2023 |
End Date |
18 Mar 2024 |
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Each cell represents the correlation between the two corresponding assets. |
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Cell Color |
Description |
Diversification Benefit |
-1.00 to -0.40 |
Asset pair with negative correlation |
Excellent Diversification |
-0.40 to 0.00 |
Asset pair with slight negative correlation |
Good Diversification |
0.00 to 0.60 |
Asset pair with mild positive correlation |
Moderate Diversification |
0.60 to 1.00 |
Asset pair with strong positive correlation |
Poor Diversification |
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